The asymmetric impact of consumer sentiment announcements on Australian foreign exchange rates

Akhtar, Shumi, Faff, Robert and Oliver, Barry (2011) The asymmetric impact of consumer sentiment announcements on Australian foreign exchange rates. Australian Journal of Management, 36 3: 387-403. doi:10.1177/0312896211410723


Author Akhtar, Shumi
Faff, Robert
Oliver, Barry
Title The asymmetric impact of consumer sentiment announcements on Australian foreign exchange rates
Language of Title eng
Journal name Australian Journal of Management   Check publisher's open access policy
Language of Journal Name eng
ISSN 0312-8962
1327-2020
Publication date 2011-12
Sub-type Article (original research)
DOI 10.1177/0312896211410723
Volume 36
Issue 3
Start page 387
End page 403
Total pages 17
Place of publication London, United Kingdom
Publisher Sage Publications
Collection year 2012
Language eng
Abstract We examine the effect of consumer sentiment announcements on changes in 13 of the more common foreign exchange rates against the Australian dollar using a consumer sentiment index (CSI). Generally, we find that the CSI possesses information that influences the foreign exchange market. However, we observe an asymmetric effect - when a lower than previous month CSI is announced, the Australian dollar experiences a significant depreciation on the announcement day, but there is no matching appreciation when positive CSI news occurs. This supports the negativity effect documented in the psychology literature and in the Australian stock market. There is no evidence that the effect is non-linear.
Keyword Asymmetry
Foreign exchange markets
Investor sentiment
Q-Index Code C1
Q-Index Status Confirmed Code
Institutional Status UQ

Document type: Journal Article
Sub-type: Article (original research)
Collections: Official 2012 Collection
UQ Business School Publications
 
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Created: Mon, 12 Mar 2012, 12:02:24 EST by Karen Morgan on behalf of UQ Business School